First off, you'll need a Java Development Kit (JDK). The official releases are freely available from Oracle for personal use, but there are other options as well, such as 'openjdk'. This can be an optional step if you plan to use a tool such as IntelliJ which comes packaged with its own.
You may want to download Git as well. While this is certainly not required to get started, using it will make it easier to grab updates as I made them. Git is integrated pretty well into IntelliJ, I can't speak to how it works with Eclipse and NetBeans:
I'll continue to update this page with other software I mention. Come to think of it, I haven't mentioned GIT yet. I should probably put up a post about pulling the source code examples for the blog...